Between my thumb and index finger. Most players hold it this way, but some hold it with three fingers, or between the thumb and middle finger (Van Halen for one). I don't think it much matters; everyone has a slightly unique physical set of angles and motions. I think the actual angle of the pick, and the equality of resistance between up and down strokes is what's important. I've seen players come up from underneath (like George Lynch), or from above at the opposite angle. I'd only worry about it if you're having some kind of problem playing evenly.